A planned system upgrade by the DTCC SDR on November 21st, 2020 changed reporting logic for the cleared status of trades. Following the upgrade, the percentage of IRD trades indicated to be cleared appeared lower than historical averages as firms switched to the new reporting logic.
Interest Rate Derivatives
2021 YTD vs. 2020 YTD
- Total IRD traded notional decreased by 21%, while trade count increased by 8%
- Fixed-for-floating IRS traded notional and trade count increased by 35% and 10%, respectively
- FRAs traded notional decreased by 21%, while trade count increased by 8%
- OIS traded notional and trade count decreased by 64% and 1%, respectively
- 75% of total traded notional was cleared vs. 91% last year
- 69% of total traded notional was executed On SEF vs. 53% last year
2021 Current Week vs. 2020 Current Week
- Total IRD traded notional and trade count decreased by 43% and 26%, respectively
- Fixed-for-floating IRS traded notional increased by 31%, while trade count decreased by 9%
- FRAs traded notional and trade count decreased by 78% and 69%, respectively
- OIS traded notional decreased by 40%, while trade count increased by 16%
- 75% of total traded notional was cleared vs. 92% last year
- 71% of total traded notional was executed On SEF, flat compared with last year
Interest Rate Derivatives: Benchmark Data
Week Ending April 2, 2021
- SOFR traded notional totaled $52.3 billion, including $21.2 billion of basis swaps. Trade count totaled 402, including 114 basis swaps
- SONIA traded notional totaled $146.2 billion, including $2.2 billion of basis swaps. Trade count totaled 1,182, including 18 basis swaps
- SARON traded notional and trade count was $0.02 billion and 1, respectively
- TONA traded notional and trade count was $0.6 billion and 7, respectively
- €STR traded notional and trade count was $3.0 billion and 32, respectively
YTD Ending April 2, 2021
- SOFR traded notional totaled $773.7 billion, including $346.9 billion of basis swaps. Trade count totaled 5,572, including 2,196 basis swaps
- SONIA traded notional totaled $4.5 trillion, including $62.4 billion of basis swaps. Trade count totaled 16,204, including 354 basis swaps
- SARON traded notional and trade count was $7.0 billion and 52, respectively
- TONA traded notional totaled $97.7 billion, including $0.1 billion of basis swaps. Trade count totaled 220, including 2 basis swaps
- €STR traded notional totaled $44.3 billion, including $0.4 billion of basis swaps. Trade count totaled 325, including 7 basis swaps
Credit Derivatives
2021 YTD vs. 2020 YTD
- Total credit derivatives traded notional and trade count decreased by 34% and 33%, respectively
- CDX HY traded notional and trade count both decreased by 36%
- CDX IG traded notional and trade count decreased by 41% and 38%, respectively
- iTraxx Europe traded notional and trade count decreased by 21% and 18%, respectively
- 82% of total traded notional was cleared vs. 83% last year
- 81% of total traded notional was executed On SEF vs. 80% last year
2021 Current Week vs. 2020 Current Week
- Total credit derivatives traded notional and trade count decreased by 3% and 26%, respectively
- CDX HY traded notional increased by 51%, while trade count decreased 5%
- CDX IG traded notional and trade count decreased by 39% and 43%, respectively
- iTraxx Europe traded notional increased by 33%, while trade count decreased by 7%
- 85% of total traded notional was cleared vs. 87% last year
- 85% of total traded notional was executed On SEF vs. 83% last year